Testing extreme value copulas to estimate the quantile

Zuhair Bahraoui, Catalina Bolancé () and Ana M. Pérez-Marín ()
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Zuhair Bahraoui: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain
Catalina Bolancé: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain
Ana M. Pérez-Marín: Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain

No XREAP2013-09, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

Abstract: Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have motivated by a bivariate sample of losses from a real database of auto insurance claims. Methods are implemented in R.

Keywords: Extreme value copula; Extreme value distributions; Quantile (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-11, Revised 2013-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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http://www.xreap.cat/RePEc/xrp/pdf/XREAP2013-09.pdf First version, 2013 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2013-09.pdf Revised version, 2013 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:xrp:wpaper:xreap2013-09

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